scholarly journals More on Calendar Effects on Islamic Stock Markets

2016 ◽  
Vol 12 (1) ◽  
Author(s):  
Christoph S. Weber ◽  
Philipp Nickol
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Efficient Market Hypothesis ◽  
Comprehensive Analysis ◽  
Seasonal Patterns ◽  
Gregorian Calendar ◽  
Volatility Clustering ◽  
Calendar Effects ◽  
Calendar Anomalies ◽  
Developed Stock Markets

AbstractThere is a long tradition in detecting anomalies of the Efficient Market Hypothesis. Among these are calendar anomalies, first described by French back in 1980. Whilst there is a plethora of studies for well-developed stock markets, there is still a lack of comprehensive studies for some small or emerging financial markets. It is particularly interesting to test not only for calendar effects in the conventional Gregorian calendar but also in other calendars like the Hijri calendar. Thus, the aim of this study is to provide a comprehensive analysis of calendar anomalies on Islamic stock markets. Firstly, we deliver a complete literature review of previous studies dealing with calendar effects on Islamic stock markets showing that there is still a lack of consensus about the effects. Secondly, we analyse whether there are any seasonal patterns in stock markets’ returns by conventional estimation techniques. Thirdly, we study whether those calendar effects are still apparent when we control for volatility clustering. In fact, there is evidence for calendar anomalies on all stock markets. However, those effects are prone to changes when different models or distributions are used. One should, therefore, be careful when interpreting calendar effects on Islamic stock markets. The evidence for theories put forward when analysing Western stock markets is – at best – mild.

scholarly journals Calendar Effects in the Stock Markets of Central European Countries

2020 ◽  
Vol 5 (350) ◽  
pp. 27-51
Author(s):  
Marek Szymański ◽  
Grzegorz Wojtalik
Keyword(s):  
Stock Markets ◽  
Efficient Market Hypothesis ◽  
European Countries ◽  
Efficient Market ◽  
Market Anomalies ◽  
Central European ◽  
Calendar Effects ◽  
Year Effect ◽  
Calendar Anomalies ◽  
Available Information

The efficient market hypothesis suggests that there are no opportunities to gain above‑normal profits using available information, because it is all reflected in the prices. However, calendar anomalies are found to contradict the efficient market hypothesis and enable investors to predict prices during specific days. Based on a review of papers on market efficiency and market anomalies, this paper examines and compares calendar effects known as ‘the month‑of‑the year effect’ and ‘the day‑of‑the‑week effect’ between the stock markets of three Central European countries: Poland, Hungary and the Czech Republic. The study has revealed the presence of calendar anomalies in the indexes representing small‑cap stocks listed on the Polish stock market and, to some extent, in the indexes used in the Hungarian and Czech stock markets.

scholarly journals Seasonality in the Indian Stock Markets: A Study of Calendar Effects

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Harish Kumar ◽  
Mridul Dawar
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Estimation Procedure ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Relevant Information ◽  
Informational Efficiency ◽  
Stock Market Returns ◽  
Calendar Effects ◽  
Year Effect

Theoretical and technological advances in Behavioural Finance over the last decades seem to have shifted the paradigm away from the Efficient Market Hypothesis proposed by Fama in 1970s. The hypothesis implied that securities are always priced efficiently since all the relevant information is fully reflected in their prices. However, this normative statement comes under heavy scrutiny with the existence of seasonality in stock returns. This paper investigates seasonality in the Indian stock markets through the existence of calendar effects. Employing time series analysis on data from January 1999 to December 2015, the presence of calendar effects is studied in three BSE indices-Sensex, BSE200 and BSE 500 using a dummy variable regression model in both the daily returns (using EGARCH modelling process) and monthly returns (using OLS estimation procedure). It is found that the while the SENSEX index does not show any significant calendar effect, seasonality does manifest in the larger BSE 200 and BSE 500 indices in form of both days-of-the-week effect and month-of-the-year effect, thereby suggesting that Indian stock markets do not show informational efficiency even in the weak form. The study concludes that the observed patterns are useful in timing the deals by exploiting the observed irregularities in the Indian stock market returns.

scholarly journals INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY

2020 ◽  
Vol 21 (6) ◽  
pp. 1561-1592
Author(s):  
Cristi Spulbar ◽  
Jatin Trivedi ◽  
Ramona Birau
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Spillover Effects ◽  
Garch Models ◽  
Asymmetric Garch ◽  
Developed Stock Markets ◽  
The Impact

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents, respectively North America, Europe and Asia. We also investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical analysis is focused on seven developed stock market indices, i.e. IBEX35 (Spain), DJIA (USA), FTSE100 (UK), TSX Composite (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 (Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework includes symmetric and asymmetric GARCH models i.e. EGARCH and GJR which are performed in order to capture asymmetric volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH models revealed that all selected financial markets are highly volatile, including the presence of leverage effect. The stock markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis.

scholarly journals STOCK MARKET EFFICIENCY IN AFRICA: EVIDENCE FROM RANDOM WALK HYPOTHESIS

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Keyword(s):  
Random Walk ◽  
Financial Markets ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Global Pandemic ◽  
Stock Market Efficiency ◽  
Variance Ratios ◽  
The Mean

This paper aims to test the efficient market hypothesis, in its weak form, in the stock markets of BOTSWANA, EGYPT, KENYA, MOROCCO, NIGERIA and SOUTH AFRICA, in the period from September 2, 2019 to September 2, 2020. In order to achieve this analysis, we intend to find out if: the global pandemic (Covid-19) has decreased the efficiency, in its weak form, of African stock markets? The results therefore support the evidence that the random walk hypothesis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean, and no differences were identified between the stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Md. Bokhtiar Hasan ◽  
M. Kabir Hassan ◽  
Md. Mamunur Rashid ◽  
Md. Sumon Ali ◽  
Md. Naiem Hossain
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Data Sets ◽  
Investment Strategies ◽  
Market Anomalies ◽  
Content Type ◽  
Stock Indices ◽  
Two Indices ◽  
Calendar Anomalies

PurposeIn this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.Design/methodology/approachThe authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.FindingsThe study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.Practical implicationsThe study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.Originality/valueTo the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.

scholarly journals Calendar Anomalies In Kuwait Stock Exchange: Anomalous Evidence

2011 ◽  
Vol 2 (1) ◽  
Author(s):  
Turki Alshimmiri
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Emerging Market ◽  
Weekend Effect ◽  
January Effect ◽  
Trading Patterns ◽  
Systematic Behavior ◽  
Calendar Anomalies ◽  
Developed Stock Markets

<p class="MsoBlockText" style="margin: 0in 0.5in 0pt;"><span style="font-style: normal; mso-bidi-font-style: italic;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Calendar anomalies such as January and weekend effects were found to exist in many international stock markets. Explanations of these anomalies are vast and so far are not robust. This paper examines these anomalies in a distinct emerging market, Kuwait stock market (KSE). With Kuwait joining the World Trade Organization treaty (WTO) and by opening its stock market to foreign investors, it becomes important to investigate stock behavior in KSE. The study finds interesting regularities in trading patterns of investors related to the weekend as well as to the day of the week. That is, there exists a weekend effect and is robust to the methodology applied. However, this effect is different from that uncovered in other developed stock markets in the sense that the first trading day (Saturday in KSE) shows positive returns and the second trading day (Sunday in KSE) shows negative returns. Other days show no systematic behavior and if detected, it is insignificant. On the other hand, January effect is not detected in KSE and returns in January are mot different from those in other months. However, returns during summer months (May-September) tend to be significantly higher than returns during other months of the year (October-April) in what is termed as summer effect. The most plausible elucidation relates to human factors as investors in KSE sense no unhealthy information about firms over the weekend and hence make their portfolio acquisition decisions in Saturdays and reverse these decisions on next day to capitalize on their marginal profits.</span></span></span></p>

The Role of Risk Aversion and Technical Trading in the Behaviour of Financial Markets

2008 ◽  
pp. 169-179
Author(s):  
José Antonio Pascual
Keyword(s):  
Financial Markets ◽  
Financial Economics ◽  
Stock Markets ◽  
Financial Time Series ◽  
Unit Roots ◽  
Social Simulation ◽  
Statistical Features ◽  
Volatility Clustering ◽  
Agent Based ◽  
Excess Volatility

In this paper we show how agent based social simulation helps us to improve some of the traditional models and theories in financial economics. In particular, we explore the links between the micro-behaviour of investors and the aggregated behaviour of Stock Markets. First, we build an agent based model of an artificial financial market, populated only with rational investors. We observe that the statistical features of this market are in agreement with the theoretical markets suggested by mainstream financial economics, but far away from the features shown by real financial markets, like the Spanish Ibex-35, the Spanish Stock Market main Index. In order to fill the gap, we introduce heterogeneity in the model. We add psychological investors, as suggested by Kahnemen and Tversky (1979), and we are able to reproduce non-normality, excess kurtosis, excess volatility, and volatility clustering. Then, we introduce technical traders, and we also get from the model higher levels of excess volatility and unit roots. In other words, psychological dealers seem to be responsible for volatility clustering, whereas technical traders trend to introduce unit roots into the process. All these “financial patterns” are a common feature not only for Spanish Ibex-35, also the most important stock markets. We conclude that agent based social simulation helps us to fill the gap between economic theory and real markets, as we explain the statistical features of financial time series from the bottom-up.

scholarly journals MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY

2021 ◽  
Vol 19 (01) ◽  
pp. 70-90
Author(s):  
Jatin Trivedi ◽  
Cristi Spulbar ◽  
Ramona Birau ◽  
Amir Mehdiabadi
Keyword(s):  
European Union ◽  
Financial Markets ◽  
Empirical Analysis ◽  
Stock Markets ◽  
The European Union ◽  
Volatility Clustering ◽  
Volatility Spillovers ◽  
Considerable Impact ◽  
European Stock Markets ◽  
The Empirical Analysis

Purpose – This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating context, but also a current challenge of great interest. Research Methodology – We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings – The econometric approach includes GARCH (1, 1) models for the sample period from 1, January 2000 to 12, July 2018. The empirical results revealed that exists a significant presence of volatility clustering in all selected financial markets except Poland and Croatia. The empirical analysis also indicates that both recent and past news generate a considerable impact on present volatility. Research limitations – Our empirical study has certain limitations regarding the relatively small number of only eight stock markets. Practical implications – It can provide a useful perspective for researchers, academics, investors, investment managers, decision-makers, and scientists. Originality/Value – The empirical analysis is focused on 8 European stock markets, which are classified as developed (Spain, UK, Germany, and France) and emerging (Poland, Hungary, Croatia, and Romania).

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

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